I am used to my IRC client to flash it's window when my name is highlighted. You can achieve this with the script bleep.pl
As qbi comments over here:

You can download beep.pl: cd ~/.weechat/perl && wget http://www.weechat.org/files/scripts/beep.pl. Now you can use in weechat: /perl load beep.pl

If you use multiple windows in screen, and your weechat client is not the active one, you get a "Bell in window %n" message instead of an actual bell in the terminal.
You can change that message with CTRL+A, :bell_msg "^G". Just as %n will be replaced with the window number, ^G is replaced with an actual bell. (source: http://www.delorie.com/gnu/docs/screen/screen_64.html)

In PuTTY: Change settings->Terminal -> Bell -> Taskbar/caption indication on bell: (x) Flashing.
Also don't forget to use FauxFaux build of putty as it has lots of cool additional features like clickable links, ctrl+scrollwheel for changing font size, minimize to tray, ... .